指数基金投资绩效分析  

Research of the Performances of Index Funds

作　　者：齐岳[1] 王文超[2] 

机构地区：[1]南开大学商学院,天津30071 [2]中国银行山西省分行,太原030001

出　　处：《经济问题》2011年第2期95-98,115,共5页On Economic Problems

摘　　要：以当前我国资本市场上存续期超过五年的基金为样本,将积极管理的基金与指数化管理的基金的业绩进行了比较,并将结果与理论研究结论进行对比,从而分析了当前我国指数基金的业绩及其原因。实证研究的结果表明中国指数基金的表现并未超越市场平均水平,其原因主要是市场有效性差;指数设计不合理,指数不能很好的反应市场变化;当前市场机制存在缺陷,缺乏对冲操作的实践。This article,taking the funds that have been operated over three years,compares the performance of the actively managed funds and the index fund.What is more,it compares the empirical research and theoretical research results with each other,then China＇s current performance of index funds were analyzed and the reasons were also discussed.Empirical data show that China＇s relatively weak performance of index funds does not exceed the market average.This paper carries out an analysis of the reasons for the relatively weak performance of index funds.The main reasons are drawn to the weak effectiveness of capital market,the unreasonable design of stocks index,as well as the defects of the market mechanism of the bonds and stocks.

关 键 词：指数基金 有效市场理论 詹森指数 特雷诺指数 夏普指数 

分 类 号：F830.91[经济管理—金融学]